Fri, 30/11/2012 - 16:02
The Chicago Board Options Exchange has begun disseminating values for a new benchmark index, the CBOE Low Volatility Index (LOVOL).
The CBOE LOVOL Index is designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets.
The index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500 stocks, while still preserving the bulk of market gains.
The CBOE LOVOL Index is a blend of two of CBOE's most popular strategy benchmark indexes - the CBOE S&P 500 BuyWrite Index (BXM) and the CBOE VIX Tail Hedge Index (VXTH). The LOVOL Index bridges the space between the BXM and VXTH strategies:
• The BXM strategy cushions returns against market downturns in exchange for lower returns in more bullish markets.
• The VXTH strategy provides substantial protection against severe downturns in exchange for lower returns in less volatile markets.
The CBOE LOVOL Index measures the performance of a portfolio that overlays SPX and CBOE Volatility Index (VIX) calls over the S&P 500 Index. Specifically, the index is obtained by holding a portfolio of S&P 500 stocks and simultaneously selling SPX calls and buying one-month VIX 30-delta calls on a monthly basis.
For the five-year period ending 31 October 2012, the annualised return for the LOVOL Index was 2.9 per cent (versus 0.4 per cent for the S&P 500 total return index). The standard deviation for the LOVOL Index during the same period was 13.6 per cent (versus 19.1 per cent for the S&P 500).
CBOE will disseminate the CBOE LOVOL Index value every 15 seconds during the trading day.
Mon 13/03/2017 - 12:40
Fri 03/03/2017 - 13:56
Tue 21/02/2017 - 09:53
Mon 30/01/2017 - 09:30
Tue 28/03/2017 - 13:50
Tue 28/03/2017 - 08:49
Tue, 28/Mar/2017 - 09:01
Tue, 28/Mar/2017 - 08:26
Mon, 27/Mar/2017 - 16:18
Mon, 27/Mar/2017 - 10:31
Mon, 27/Mar/2017 - 10:06
Mon, 27/Mar/2017 - 09:35